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acessibilidade

http://hdl.handle.net/10071/22487
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acessibilidade
DC FieldValueLanguage
dc.contributor.authorBrito, R. P.-
dc.contributor.authorJudice, P.-
dc.date.accessioned2021-04-26T10:36:46Z-
dc.date.available2021-04-26T10:36:46Z-
dc.date.issued2021-
dc.identifier.issn0969-6016-
dc.identifier.urihttp://hdl.handle.net/10071/22487-
dc.description.abstractUnder the International Financial Reporting Standard 9 framework, we analyze the trade-off of classifying a financial asset at amortized cost versus at fair value. Defining an impairment model and based on historical (2003–2019) data for the 10-year Portuguese Government bonds, we analyze the annual performance (income/comprehensive income) of different investment allocations. Setting as objectives the maximization of the income and the minimization of the semivariance of the comprehensive income, we suggest a biobjective model in order to find efficient allocations. Given the nonsmoothness of the semivariance function, we compute the solution of the suggested model by means of a multiobjective derivative-free algorithm. Assuming that the yields and funding rates follow a correlated mean-reverting process and that the bonds’ rating dynamics are described by an ordinal response model, we show a possible approach to mitigate the estimation error ingrained in the proposed biobjective stochastic model. Finally, we assess the out-of-sample performance of some of the suggested efficient allocations.eng
dc.language.isoeng-
dc.publisherWiley-
dc.relationCEECIND/01010/2017-
dc.relationUIDB/00315/2020-
dc.rightsopenAccess-
dc.subjectAsset classificationeng
dc.subjectBacktestingeng
dc.subjectIFRS 9eng
dc.subjectDerivative-free optimizationeng
dc.subjectSensitivity analysiseng
dc.subjectStochastic simulationeng
dc.titleAsset classification under the IFRS 9 framework for the construction of a banking investment portfolioeng
dc.typearticle-
dc.peerreviewedyes-
dc.journalInternational Transactions in Operational Research-
dc.volumeN/A-
degois.publication.titleAsset classification under the IFRS 9 framework for the construction of a banking investment portfolioeng
dc.date.updated2021-04-26T11:36:00Z-
dc.description.versioninfo:eu-repo/semantics/publishedVersion-
dc.identifier.doi10.1111/itor.12976-
dc.subject.fosDomínio/Área Científica::Ciências Naturais::Matemáticaspor
dc.subject.fosDomínio/Área Científica::Ciências Sociais::Economia e Gestãopor
iscte.subject.odsIndústria, inovação e infraestruturaspor
iscte.identifier.cienciahttps://ciencia.iscte-iul.pt/id/ci-pub-81386-
iscte.alternateIdentifiers.scopus2-s2.0-85104121685-
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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